Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1355 |
| Annualized Std Dev | 0.4230 |
| Annualized Sharpe (Rf=0%) | -0.3203 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3487.0000 |
| NAs | 1.0000 |
| Minimum | -0.2855 |
| Quartile 1 | -0.0133 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0006 |
| Quartile 3 | 0.0130 |
| Maximum | 0.1893 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0011 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0007 |
| Stdev | 0.0266 |
| Skewness | -0.2169 |
| Kurtosis | 7.8151 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0190 |
| Gain Deviation | 0.0189 |
| Loss Deviation | 0.0194 |
| Downside Deviation (MAR=210%) | 0.0236 |
| Downside Deviation (Rf=0%) | 0.0191 |
| Downside Deviation (0%) | 0.0191 |
| Maximum Drawdown | 0.9757 |
| Historical VaR (95%) | -0.0405 |
| Historical ES (95%) | -0.0620 |
| Modified VaR (95%) | -0.0415 |
| Modified ES (95%) | -0.0713 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-19 | 2020-03-23 | NA | -0.9757 | 3211 | 2960 | NA |
| 2007-06-18 | 2007-08-28 | 2007-10-12 | -0.1609 | 83 | 51 | 32 |
| 2008-01-15 | 2008-01-23 | 2008-02-20 | -0.1185 | 25 | 6 | 19 |
| 2007-11-07 | 2007-11-27 | 2008-01-14 | -0.1129 | 46 | 14 | 32 |
| 2008-02-29 | 2008-03-20 | 2008-04-07 | -0.1101 | 26 | 15 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.4 | 0.8 | -1.9 | 1.7 | 1.3 | -1.5 | -0.5 | -0.6 | -0.3 |
| 2008 | 1.8 | -2.6 | 1.1 | -1.7 | 2.2 | 0.3 | -0.1 | -1.4 | -3.6 | 2.6 | -11.3 | 2.7 | -10.3 |
| 2009 | -2.5 | -1.6 | 2.1 | 5.1 | 4.5 | -0.1 | 2.2 | -2.6 | -4.6 | -6.2 | 2.4 | -1.5 | -3.4 |
| 2010 | 4.5 | 2 | 2.4 | -1 | -5.1 | -0.1 | -0.6 | 3.4 | 1.2 | 1.7 | 2.5 | 0.3 | 11.4 |
| 2011 | 1.2 | -2.6 | 0.5 | 1.6 | -2.3 | 1.1 | 0.2 | -0.7 | -3.4 | -3.1 | -0.8 | -0.1 | -8.2 |
| 2012 | -0.6 | 1.2 | 0.2 | 0.9 | -4.9 | 3.7 | 0.2 | 1.1 | 1.2 | 1.3 | -0.8 | 2.2 | 5.5 |
| 2013 | 0.4 | -0.7 | -1 | -1.9 | -2.1 | 0.3 | 1.8 | 0.2 | 2 | 0.7 | 0.1 | 0.4 | 0.1 |
| 2014 | -0.4 | 0.8 | -0.2 | -1.6 | -0.7 | -0.7 | -1.3 | 1.4 | -3.3 | 2.5 | -1.8 | -0.4 | -5.7 |
| 2015 | 1.6 | -1.1 | 1 | -0.7 | -0.9 | -5 | -3 | -4.6 | 0.4 | 1 | 0 | 5.9 | -5.6 |
| 2016 | -5 | 1.8 | -1.5 | 0.2 | 0.4 | 1.4 | -4.3 | 0.2 | 1.8 | -0.5 | 0.6 | -0.6 | -5.6 |
| 2017 | -0.1 | 2.3 | 1.2 | 0.2 | 0.7 | 0.2 | -0.9 | 2.1 | 0.1 | 2.5 | 1.7 | -1 | 9.2 |
| 2018 | 0.5 | 1 | 2.6 | -0.2 | -0.3 | 0.3 | -1 | -0.8 | 1.3 | 1.6 | -1.3 | 0.3 | 4 |
| 2019 | 0.6 | 2.3 | 1.3 | -2.9 | -1.1 | -0.3 | -6 | -2.2 | -3.8 | 3.2 | -2.7 | 1.8 | -9.7 |
| 2020 | -2.2 | 3.5 | -3.1 | -7.4 | 2.8 | -2.3 | -0.7 | -0.5 | -2.6 | -0.5 | -0.4 | -1.1 | -13.9 |
| 2021 | 2.4 | 3.2 | 3.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-11 98.7 SPY 151. 8.60e-3 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
2 2007-05-15 98.8 SPY 151. 3.00e-4 -0.00120 0.0264 0.0409 0.165 0.363 0.396 GLD 66.5 0.0039 -0.0197
3 2007-05-16 98.2 SPY 152. 6.80e-3 0.00290 0.0307 0.0411 0.171 0.378 0.375 GLD 65.6 -0.0141 -0.0274
4 2007-05-17 101. SPY 151. -2.00e-3 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
5 2007-05-18 102. SPY 153. 8.70e-3 0.0117 0.0366 0.0473 0.203 0.399 0.383 GLD 65.5 0.0071 -0.014
6 2007-05-21 103. SPY 153. -5.00e-4 0.0134 0.0264 0.0445 0.209 0.391 0.376 GLD 65.7 0.0023 -0.0092
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
